@anamur-- You might want to try white sage, I think that smells better and less strong.
Also, you don't need a lot. The bundles that they sell at the stores are too much in my opinion, especially if you have a small house. Separate the bundles and use just a little bit and make sure to open all windows before doing so.
Smoke removes negative energy by attaching to it and dragging it out of the home. Which means that if you don't have an open window for the smoke to leave, the energy will remain.
I think burning sage is also great for relaxation. I've noticed that when I'm stressed, anxious or worried, burning some sage makes me feel better and calmer.